[Stinged]

The second one is a lot faster, but you have to know the function's name, and if it exists (You can use #if to check that, but you still have to know the name)

One of the important uses of CallLocalFunction is in command processing, since it calls a function with this format:
cmd_%s(playerid, params[]) *%s = command name

Since the player enters the command name, you replace %s with what they enter (using format, or some other method of processing), and then you use CallLocalFunction.